Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0140 |
| Annualized Std Dev | 0.2243 |
| Annualized Sharpe (Rf=0%) | -0.0624 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1246 |
| Quartile 1 | -0.0059 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0066 |
| Maximum | 0.1944 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0141 |
| Skewness | 0.0112 |
| Kurtosis | 19.6198 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0103 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0117 |
| Downside Deviation (MAR=210%) | 0.0149 |
| Downside Deviation (Rf=0%) | 0.0103 |
| Downside Deviation (0%) | 0.0103 |
| Maximum Drawdown | 0.6086 |
| Historical VaR (95%) | -0.0201 |
| Historical ES (95%) | -0.0350 |
| Modified VaR (95%) | -0.0176 |
| Modified ES (95%) | -0.0176 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-02-14 | 2020-03-23 | NA | -0.6086 | 4053 | 3802 | NA |
| 2004-01-21 | 2004-05-10 | 2005-01-31 | -0.2591 | 260 | 77 | 183 |
| 1999-07-07 | 2000-05-24 | 2000-12-29 | -0.1582 | 377 | 225 | 152 |
| 2002-09-04 | 2002-10-21 | 2003-02-11 | -0.1280 | 111 | 34 | 77 |
| 2003-05-23 | 2003-09-10 | 2004-01-16 | -0.0954 | 165 | 76 | 89 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 2 | 0 | -0.6 | 0 | 0.6 | 0.7 | 0.7 | -1.4 | 0.3 | 0.7 | 1.4 | 4.4 |
| 2000 | -2.1 | 0 | 0.7 | 0.7 | -0.4 | -1.4 | 0 | -1.3 | 0.7 | 0 | -1.3 | 1.9 | -2.5 |
| 2001 | 0.2 | -0.6 | 0.4 | 1.4 | -0.1 | -1.2 | 0.4 | 0.5 | 1.7 | -0.4 | 1.2 | -0.7 | 2.7 |
| 2002 | -1.1 | -0.9 | -0.3 | -0.1 | -0.2 | 2.6 | -0.5 | 0.3 | -0.3 | 0.9 | 1 | 0.7 | 2.1 |
| 2003 | -0.5 | 0.1 | 1 | -0.9 | 0.2 | -0.9 | -0.4 | -0.1 | 0.5 | 0.8 | 0.5 | -0.2 | -0.1 |
| 2004 | 1 | -0.7 | -0.3 | -1.2 | -0.8 | 1.6 | 0.5 | -1.4 | -0.5 | -0.2 | -2.2 | 0.2 | -4 |
| 2005 | 0.6 | -1.5 | 1 | -2.8 | -0.7 | 0.9 | 0.2 | -1.1 | -0.5 | -0.1 | 1.3 | -0.2 | -2.9 |
| 2006 | -0.2 | -1.3 | -0.1 | 1.5 | -0.1 | 2 | -5.2 | 0.6 | 0.2 | -1 | -0.8 | 0.3 | -4.2 |
| 2007 | -0.9 | -2.9 | -0.9 | -1 | -0.4 | -0.8 | -2 | -0.8 | 0.6 | -0.8 | 3.2 | 1.7 | -5.1 |
| 2008 | -0.4 | 0.7 | 0.8 | -0.8 | -3.3 | -1.3 | 2.1 | 0.8 | 1.9 | 4.1 | -0.9 | -2.4 | 1.1 |
| 2009 | -3.7 | -2.1 | 0.8 | -2.7 | -1 | 2 | 0.7 | -0.9 | -0.1 | -0.2 | 0 | -2.3 | -9.1 |
| 2010 | 2.3 | -0.1 | 0.2 | 0.5 | -0.2 | -0.4 | 0.5 | 1.3 | 1.4 | 0.7 | -0.7 | 2.2 | 8 |
| 2011 | 0.1 | 0.6 | 0.2 | 0.6 | -0.5 | 0.3 | 3.6 | 1.2 | -1.6 | -1 | 0.3 | 0.2 | 3.9 |
| 2012 | 0.8 | 1 | 0.6 | 0.7 | -0.4 | -0.8 | 1 | 1.8 | 1.6 | 0.8 | -0.3 | 2.3 | 9.6 |
| 2013 | -0.6 | 0.6 | -1.1 | 0.7 | -0.8 | -0.1 | 0.3 | 0.5 | 1 | -0.8 | 0.5 | 0.5 | 0.5 |
| 2014 | 0.2 | 0.3 | 0.8 | -0.3 | -0.1 | 0.1 | -0.8 | 0.1 | 2.1 | 1.1 | -0.5 | -0.4 | 2.6 |
| 2015 | 0.8 | 0.2 | 0.9 | 0.4 | 0 | 0.3 | 0.8 | -0.2 | -1.3 | 0 | 1.1 | 0.6 | 3.7 |
| 2016 | 0.1 | 2.9 | 0.7 | 0.9 | 1.5 | 0.7 | -1.2 | -0.3 | 0.5 | -4.9 | -0.3 | 0.5 | 0.7 |
| 2017 | 0.4 | -0.1 | 0.7 | 0.2 | 0.6 | 0.2 | -2.3 | 0 | -0.1 | -1.3 | 0.1 | -1.8 | -3.4 |
| 2018 | 1.3 | 0.4 | 1.5 | 0.4 | 0.5 | 0.7 | 0.9 | 0.5 | -0.1 | 1.9 | 1 | 0.8 | 10.5 |
| 2019 | 0.7 | 0.3 | -0.6 | 1.4 | -0.4 | 1.1 | 0.8 | 0.2 | 0.6 | -0.2 | -0.9 | -0.2 | 2.9 |
| 2020 | -0.2 | -10.3 | -7.5 | 0.5 | 2.3 | 3.5 | 0.6 | 0.9 | 0.3 | -0.3 | -0.1 | 0.4 | -10.3 |
| 2021 | 0.4 | -0.8 | -0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 9.81 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 9.75 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 9.75 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 9.69 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 9.59 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 9.5 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
